High Speed Processing of Financial Information Using FPGA Devices

ABSTRACT

A high speed system and method for processing financial instrument order data are disclosed. With respect to an exemplary embodiment, a reconfigurable logic device is employed to monitor a financial instrument order based on a risk profile to determine whether the order is appropriate. If determined appropriate, a financial instrument order can be routed to a trading venue. With respect to another exemplary embodiment, a reconfigurable logic device is employed to maintain a financial instrument order book.

CROSS-REFERENCE AND PRIORITY CLAIM TO RELATED PATENT APPLICATIONS

This patent application is a divisional of U.S. patent application Ser.No. 11/765,306, filed Jun. 19, 2007, entitled “High Speed Processing ofFinancial Information Using FPGA Devices”, and published as U.S. Pat.App. Pub. 2008/0243675, now U.S. Pat. No. ______, which claims priorityto provisional patent application 60/814,796, filed Jun. 19, 2006, andentitled “High Speed Processing of Financial Information Using FPGADevices”, the entire disclosures of each of which are incorporatedherein by reference.

This patent application is related to the following patent applications:U.S. patent application Ser. No. ______, filed this same day, andentitled “High Speed Processing of Financial Information Using FPGADevices” (this patent application being identified by Thompson CoburnAttorney Docket Number 44826-94011), U.S. patent application Ser. No.______, filed this same day, and entitled “High Speed Processing ofFinancial Information Using FPGA Devices” (this patent application beingidentified by Thompson Coburn Attorney Docket Number 44826-95684), U.S.patent application Ser. No. ______, filed this same day, and entitled“High Speed Processing of Financial Information Using FPGA Devices”(this patent application being identified by Thompson Coburn AttorneyDocket Number 44826-95685), U.S. patent application Ser. No. ______,filed this same day, and entitled “High Speed Processing of FinancialInformation Using FPGA Devices” (this patent application beingidentified by Thompson Coburn Attorney Docket Number 44826-95686), U.S.patent application Ser. No. ______, filed this same day, and entitled“High Speed Processing of Financial Information Using FPGA Devices”(this patent application being identified by Thompson Coburn AttorneyDocket Number 44826-95687), U.S. patent application Ser. No. ______,filed this same day, and entitled “High Speed Processing of FinancialInformation Using FPGA Devices” (this patent application beingidentified by Thompson Coburn Attorney Docket Number 44826-95688), andU.S. patent application Ser. No. ______, filed this same day, andentitled “High Speed Processing of Financial Information Using FPGADevices” (this patent application being identified by Thompson CoburnAttorney Docket Number 44826-95689).

This patent application is also related to the following patentapplications: U.S. patent application Ser. No. 09/545,472 (filed Apr. 7,2000, and entitled “Associative Database Scanning and InformationRetrieval”, now U.S. Pat. No. 6,711,558), U.S. patent application Ser.No. 10/153,151 (filed May 21, 2002, and entitled “Associative DatabaseScanning and Information Retrieval using FPGA Devices”, now U.S. Pat.No. 7,139,743), published PCT applications WO 05/048134 and WO 05/026925(both filed May 21, 2004, and entitled “Intelligent Data Storage andProcessing Using FPGA Devices”), published PCT patent application WO06/096324 (filed Feb. 22, 2006, entitled “Method and Apparatus forPerforming Biosequence Similarity Searching”), U.S. patent applicationSer. No. 11/293,619 (filed Dec. 2, 2005, entitled “Method and Device forHigh Performance Regular Expression Pattern Matching”, and published as2007/0130140), U.S. patent application Ser. No. 11/339,892 (filed Jan.26, 2006, and entitled “Firmware Socket Module for FPGA-Based PipelineProcessing”), U.S. patent application Ser. No. 11/381,214 (filed May 2,2006, and entitled “Method and Apparatus for Approximate PatternMatching”), U.S. patent application Ser. No. 11/561,615 (filed Nov. 20,2006, entitled “Method and Apparatus for Processing FinancialInformation at Hardware Speeds Using FPGA Devices”, and published as2007/0078837), and U.S. patent application Ser. No. 11/760,211 (filedJun. 8, 2007, and entitled “Method and System for High Speed OptionsPricing”), the entire disclosures of each of which are incorporatedherein by reference.

FIELD OF THE INVENTION

The present invention relates to the field of data processing platformsfor financial market data.

BACKGROUND AND SUMMARY OF THE INVENTION

Speed of information delivery is a valuable dimension to the financialinstrument trading and brokerage industry. The ability of a trader toobtain pricing information on financial instruments such as stocks,bonds and particularly options as quickly as possible cannot beunderstated; improvements in information delivery delay on the order offractions of a second can provide important value to traders.

For example, suppose there is an outstanding “bid” on stock X that is afirm quote to buy 100 shares of Stock X for $21.50 per share. Alsosuppose there are two traders, A and B, each trying to sell 100 sharesof stock X, but would prefer not to sell at a price of $21.50. Next,suppose another party suddenly indicates a willingness to buy 100 sharesof Stock X for a price of $21.60. A new quote for that amount is thensubmitted, which sets the “best bid” for Stock X to $21.60, up 10 centsfrom its previous value of $21.50. The first trader, A or B, to see thenew best bid price for Stock X and issue a counter-party order to sellStock X will “hit the bid”, and sell his/her Stock X for $21.60 pershare. The other trader will either have to settle for selling his/hershares of Stock X for the lower $21.50 price or will have to decide notto sell at all at that lower price. Thus, it can be seen that speed ofinformation delivery can often translate into actual dollars and centsfor traders, which in large volume situations, can translate tosignificant sums of money.

In an attempt to promptly deliver financial information to interestedparties such as traders, a variety of market data platforms have beendeveloped for the purpose of ostensible “real time” delivery ofstreaming bid, offer, and trade information for financial instruments totraders. FIG. 1 illustrates an exemplary platform that is currentlyknown in the art. As shown in FIG. 1, the market data platform 100comprises a plurality of functional units 102 that are configured tocarry out data processing operations such as the ones depicted in units102, whereby traders at workstations 104 have access to financial dataof interest and whereby trade information can be sent to variousexchanges or other outside systems via output path 110. The purpose anddetails of the functions performed by functional units 102 arewell-known in the art. A stream 106 of financial data arrives at thesystem 100 from an external source such as the exchanges themselves(e.g., NYSE, NASDAQ, etc.) over private data communication lines or fromextranet providers such as Savvis or BT Radians. The financial datasource stream 106 comprises a series of messages that individuallyrepresent a new offer to buy or sell a financial instrument, anindication of a completed sale of a financial instrument, notificationsof corrections to previously-reported sales of a financial instrument,administrative messages related to such transactions, and the like. Asused herein, a “financial instrument” refers to a contract representingequity ownership, debt or credit, typically in relation to a corporateor governmental entity, wherein the contract is saleable. Examples of“financial instruments” include stocks, bonds, commodities, currencytraded on currency markets, etc. but would not include cash or checks inthe sense of how those items are used outside financial trading markets(i.e., the purchase of groceries at a grocery store using cash or checkwould not be covered by the term “financial instrument” as used herein;similarly, the withdrawal of $100 in cash from an Automatic TellerMachine using a debit card would not be covered by the term “financialinstrument” as used herein). Functional units 102 of the system thenoperate on stream 106 or data derived therefrom to carry out a varietyof financial processing tasks. As used herein, the term “financialmarket data” refers to the data contained in or derived from a series ofmessages that individually represent a new offer to buy or sell afinancial instrument, an indication of a completed sale of a financialinstrument, notifications of corrections to previously-reported sales ofa financial instrument, administrative messages related to suchtransactions, and the like. The term “financial market source data”refers to a feed of financial market data directly from a data sourcesuch as an exchange itself or a third party provider (e.g., a Savvis orBT Radianz provider). The term “financial market secondary data” refersto financial market data that has been derived from financial marketsource data, such as data produced by a feed compression operation, afeed handling operation, an option pricing operation, etc.

Because of the massive computations required to support such a platform,current implementations known to the inventors herein typically deploythese functions across a number of individual computer systems that arenetworked together, to thereby achieve the appropriate processing scalefor information delivery to traders with an acceptable degree oflatency. This distribution process involves partitioning a givenfunction into multiple logical units and implementing each logical unitin software on its own computer system/server. The particularpartitioning scheme that is used is dependent on the particular functionand the nature of the data with which that function works. The inventorsbelieve that a number of different partitioning schemes for market dataplatforms have been developed over the years. For large market dataplatforms, the scale of deployment across multiple computer systems andservers can be physically massive, often filling entire rooms withcomputer systems and servers, thereby contributing to expensive andcomplex purchasing, maintenance, and service issues.

This partitioning approach is shown by FIG. 1 wherein each functionalunit 102 can be thought of as its own computer system or server. Buses108 and 110 can be used to network different functional units 102together. For many functions, redundancy and scale can be provided byparallel computer systems/servers such as those shown in connection withoptions pricing and others. To the inventors' knowledge, these functionsare deployed in software that is executed by the conventional generalpurpose processors (GPPs) resident on the computer systems/servers 102.The nature of general purpose processors and software systems in thecurrent state of the art known to the inventors herein imposesconstraints that limit the performance of these functions. Performanceis typically measured as some number of units of computational work thatcan be performed per unit time on a system (commonly called“throughput”), and the time required to perform each individual unit ofcomputational work from start to finish (commonly called “latency” ordelay). Also, because of the many physical machines required by system100, communication latencies are introduced into the data processingoperations because of the processing overhead involved in transmittingmessages to and from different machines.

Despite the improvements to the industry that these systems haveprovided, the inventors herein believe that significant furtherimprovements can be made. In doing so, the inventors herein disclosethat the underlying technology disclosed in the related patents andpatent applications listed and incorporated herein above tofundamentally change the system architecture in which market dataplatforms are deployed.

In above-referenced related patent application Ser. No. 10/153,151, itwas first disclosed that reconfigurable logic, such as FieldProgrammable Gate Arrays (FPGAs), can be deployed to process streamingfinancial information at hardware speeds. As examples, the 10/153,151application disclosed the use of FPGAs to perform data reductionoperations on streaming financial information, with specific examples ofsuch data reduction operations being a minimum price function, a maximumprice function, and a latest price function. (See also theabove-referenced and incorporated Ser. No. 11/561,615 patentapplication).

Since that time, the inventors herein have greatly expanded the scope offunctionality for processing streams of financial information withreconfigurable logic. With the invention described herein, vast amountsof streaming financial information can be processed with varying degreesof complexity at hardware speeds via reconfigurable logic deployed inhardware appliances that greatly consolidate the distributed GPParchitecture shown in FIG. 1 such that a market data platform built inaccordance with the principles of the present invention can beimplemented within fewer and much smaller appliances while providingfaster data processing capabilities relative to the conventional marketdata platform as illustrated by FIG. 1; for example, the inventorsenvision that a 5:1 or greater reduction of appliances relative to thesystem architecture of FIG. 1 can be achieved in the practice of thepresent invention.

As used herein, the term “general-purpose processor” (or GPP) refers toa hardware device that fetches instructions and executes thoseinstructions (for example, an Intel Xeon processor or an AMD Opteronprocessor). The term “reconfigurable logic” refers to any logictechnology whose form and function can be significantly altered (i.e.,reconfigured) in the field post-manufacture. This is to be contrastedwith a GPP, whose function can change post-manufacture, but whose formis fixed at manufacture. The term “software” will refer to dataprocessing functionality that is deployed on a GPP. The term “firmware”will refer to data processing functionality that is deployed onreconfigurable logic.

Thus, as embodiments of the present invention, the inventors hereindisclose a variety of data processing pipelines implemented in firmwaredeployed on reconfigurable logic, wherein a stream of financial data canbe processed through these pipelines at hardware speeds.

Also disclosed as an embodiment of the invention is a ticker plant thatis configured to process financial market data with a combination ofsoftware logic and firmware logic. Through firmware pipelines deployedon the ticker plant and efficient software control and management overdata flows to and from the firmware pipelines, the inventors hereinbelieve that the ticker plant of the preferred embodiment is capable ofgreatly accelerating the speed with which financial market data isprocessed. In a preferred embodiment, financial market data is firstprocessed within the ticker plant by software logic. The software logiccontrols and manages the flow of received financial market data into andout of the firmware logic deployed on the reconfigurable logicdevice(s), preferably in a manner such that each financial market datamessage travels only once from the software logic to the firmware logicand only once from the firmware logic back to the software logic. Asused herein, the term “ticker plant” refers to a plurality of functionalunits, such as functional units 102 depicted in FIG. 1, that arearranged together to operate on a financial market data stream 106 ordata derived therefrom.

These and other features and advantages of the present invention will beunderstood by those having ordinary skill in the art upon review of thedescription and figures hereinafter.

BRIEF DESCRIPTION OF THE DRAWINGS

FIG. 1 depicts an exemplary system architecture for a conventionalmarket data platform;

FIG. 2 is a block diagram view of an exemplary system architecture inaccordance with an embodiment of the present invention;

FIG. 3 illustrates an exemplary framework for the deployment of softwareand firmware for an embodiment of the present invention;

FIG. 4( a) is a block diagram view of a preferred printed circuit boardfor installation into a market data platform to carry out dataprocessing tasks in accordance with the present invention;

FIG. 4( b) is a block diagram view of an alternate printed circuit boardfor installation into a market data platform to carry out dataprocessing tasks in accordance with the present invention;

FIG. 5 illustrates an example of how the firmware application modules ofa pipeline can be deployed across multiple FPGAs;

FIG. 6 illustrates an exemplary architecture for a market data platformin accordance with an embodiment of the present invention;

FIG. 7 illustrates an exemplary firmware application module pipeline fora message transformation from the Financial Information Exchange (FIX)format to the FIX Adapted for Streaming (FAST) format;

FIG. 8 illustrates an exemplary firmware application module pipeline fora message transformation from the FAST format to the FIX format;

FIG. 9 illustrates an exemplary firmware application module pipeline formessage format transformation, message data processing, and messageencoding; and

FIG. 10 illustrates another exemplary firmware application modulepipeline for message format transformation, message data processing, andmessage encoding.

FIG. 11 depicts another exemplary firmware application module pipelinefor performing the functions including symbol mapping, Last Value Cache(LVC) updates, interest and entitlement filtering;

FIG. 12 depicts an exemplary embodiment of a compression function usedto generate a hash key within a firmware application module configuredto perform symbol mapping;

FIG. 13 depicts an exemplary embodiment of a hash function fordeployment within a firmware application module configured to performsymbol mapping;

FIG. 14 depicts a preferred embodiment for generating a global exchangeidentifier (GEID) within a firmware application module configured toperform symbol mapping;

FIGS. 15( a) and (b) depict an exemplary embodiment for a firmwareapplication module configured to perform Last Value Cache (LVC)updating;

FIG. 16 depicts an exemplary embodiment for a firmware applicationmodule configured to perform interest and entitlement filtering;

FIG. 17 depicts an exemplary embodiment of a ticker plant where theprimary data processing functional units are deployed in reconfigurablehardware and where the control and management functional units aredeployed in software on general purpose processors;

FIG. 18 depicts an exemplary data flow for inbound exchange traffic inthe ticker plant of FIG. 17;

FIG. 19 depicts an exemplary processing of multiple thread groups withinthe ticker plant of FIG. 17;

FIG. 20 depicts an example of data flow between the hardware interfacedriver and reconfigurable logic within the ticker plant of FIG. 17;

FIG. 21 depicts an example of data flows within the ticker plant of FIG.17 for data exiting the reconfigurable logic; and

FIG. 22 depicts an exemplary model for managing client connections withthe ticker plant of FIG. 17.

DETAILED DESCRIPTION OF THE PREFERRED EMBODIMENT

FIG. 2 depicts an exemplary system 200 in accordance with the presentinvention. In this system, a reconfigurable logic device 202 ispositioned to receive data that streams off either or both a disksubsystem defined by disk controller 206 and data store 204 (eitherdirectly or indirectly by way of system memory such as RAM 210) and anetwork data source/destination 242 (via network interface 240).Preferably, data streams into the reconfigurable logic device by way ofsystem bus 212, although other design architectures are possible (seeFIG. 4( b)). Preferably, the reconfigurable logic device 202 is a FPGA,although this need not be the case. System bus 212 can also interconnectthe reconfigurable logic device 202 with the computer system's mainprocessor 208 as well as the computer system's RAM 210. The term “bus”as used herein refers to a logical bus which encompasses any physicalinterconnect for which devices and locations are accessed by an address.Examples of buses that could be used in the practice of the presentinvention include, but are not limited to the PCI family of buses (e.g.,PCI-X and PCI-Express) and HyperTransport buses. In a preferredembodiment, system bus 212 may be a PCI-X bus, although this need not bethe case.

The data store can be any data storage device/system, but is preferablysome form of a mass storage medium. For example, the data store 204 canbe a magnetic storage device such as an array of Seagate disks. However,it should be noted that other types of storage media are suitable foruse in the practice of the invention. For example, the data store couldalso be one or more remote data storage devices that are accessed over anetwork such as the Internet or some local area network (LAN). Anothersource/destination for data streaming to or from the reconfigurablelogic device 202, is network 242 by way of network interface 240, asdescribed above. In the financial industry, a network data source (e.g.,the exchanges themselves, a third party provider, etc.) can provide thefinancial data stream 106 described above in connection with FIG. 1.

The computer system defined by main processor 208 and RAM 210 ispreferably any commodity computer system as would be understood by thosehaving ordinary skill in the art. For example, the computer system maybe an Intel Xeon system or an AMD Opteron system.

The reconfigurable logic device 202 has firmware modules deployedthereon that define its functionality. The firmware socket module 220handles the data movement requirements (both command data and targetdata) into and out of the reconfigurable logic device, thereby providinga consistent application interface to the firmware application module(FAM) chain 230 that is also deployed on the reconfigurable logicdevice. The FAMs 230 i of the FAM chain 230 are configured to performspecified data processing operations on any data that streams throughthe chain 230 from the firmware socket module 220. Preferred examples ofFAMs that can be deployed on reconfigurable logic in accordance with apreferred embodiment of the present invention are described below.

The specific data processing operation that is performed by a FAM iscontrolled/parameterized by the command data that FAM receives from thefirmware socket module 220. This command data can be FAM-specific, andupon receipt of the command, the FAM will arrange itself to carry outthe data processing operation controlled by the received command. Forexample, within a FAM that is configured to compute an index value (suchas the Dow Jones Industrial Average), the FAM's index computationoperation can be parameterized to define which stocks will be used forthe computation and to define the appropriate weighting that will beapplied to the value of each stock to compute the index value. In thisway, a FAM that is configured to compute an index value can be readilyre-arranged to compute a different index value by simply loading newparameters for the different index value in that FAM.

Once a FAM has been arranged to perform the data processing operationspecified by a received command, that FAM is ready to carry out itsspecified data processing operation on the data stream that it receivesfrom the firmware socket module. Thus, a FAM can be arranged through anappropriate command to process a specified stream of data in a specifiedmanner. Once the FAM has completed its data processing operation,another command can be sent to that FAM that will cause the FAM tore-arrange itself to alter the nature of the data processing operationperformed thereby. Not only will the FAM operate at hardware speeds(thereby providing a high throughput of target data through the FAM),but the FAMs can also be flexibly reprogrammed to change the parametersof their data processing operations.

The FAM chain 230 preferably comprises a plurality of firmwareapplication modules (FAMs) 230 a, 230 b, . . . that are arranged in apipelined sequence. As used herein, “pipeline”, “pipelined sequence”, or“chain” refers to an arrangement of FAMs wherein the output of one FAMis connected to the input of the next FAM in the sequence. Thispipelining arrangement allows each FAM to independently operate on anydata it receives during a given clock cycle and then pass its output tothe next downstream FAM in the sequence during another clock cycle.

A communication path 232 connects the firmware socket module 220 withthe input of the first one of the pipelined FAMs 230 a. The input of thefirst FAM 230 a serves as the entry point into the FAM chain 230. Acommunication path 234 connects the output of the final one of thepipelined FAMs 230 m with the firmware socket module 220. The output ofthe final FAM 230 m serves as the exit point from the FAM chain 230.Both communication path 232 and communication path 234 are preferablymulti-bit paths.

FIG. 3 depicts an exemplary framework for the deployment of applicationson the system 200 of FIG. 2. The top three layers of FIG. 3 representfunctionality that is executed in software on the computer system'sgeneral-purpose processor 208. The bottom two layers representfunctionality that is executed in firmware on the reconfigurable logicdevice 202.

The application software layer 300 corresponds to high levelfunctionality such as the type of functionality wherein one or moreusers interact with the application to define which data processingoperations are to be performed by the FAMs and to define what data thosedata processing operations are to be performed upon.

The next layer is the module application programming interface (API)layer 302 which comprises a high level module API 302 a and a low levelmodule API 302 b. The high level module API 302 a can provide genericservices to application level software (for example, managingcallbacks). The low level module API 302 b manages the operation of theoperating system (OS) level/device driver software 304. A softwarelibrary interface 310 interfaces the high level module API 302 a withthe low level module API 302 b. Additional details about this softwarelibrary interface can be found in the above-referenced patentapplication Ser. No. 11/339,892.

The interface between the device driver software 304 and the firmwaresocket module 220 serves as the hardware/software interface 312 for thesystem 200. The details of this interface 312 are described in greaterdetail in the above-referenced patent application Ser. No. 11/339,892.

The interface between the firmware socket module 220 and the FAM chain230 is the firmware module interface 314. The details of this interfaceare described in greater detail in the above-referenced patentapplication Ser. No. 11/339,892.

FIG. 4( a) depicts a printed circuit board or card 400 that can beconnected to the PCI-X bus 212 of a commodity computer system for use ina market data platform. In the example of FIG. 4( a), the printedcircuit board includes an FPGA 402 (such as a Xilinx Virtex II FPGA)that is in communication with a memory device 404 and a PCI-X busconnector 406. A preferred memory device 404 comprises SRAM and SDRAMmemory. A preferred PCI-X bus connector 406 is a standard card edgeconnector.

FIG. 4( b) depicts an alternate configuration for a printed circuitboard/card 400. In the example of FIG. 4( b), a private bus 408 (such asa PCI-X bus), a network interface controller 410, and a networkconnector 412 are also installed on the printed circuit board 400. Anycommodity network interface technology can be supported, as isunderstood in the art. In this configuration, the firmware socket 220also serves as a PCI-X to PCI-X bridge to provide the processor 208 withnormal access to the network(s) connected via the private PCI-X bus 408.

It is worth noting that in either the configuration of FIG. 4( a) or4(b), the firmware socket 220 can make memory 404 accessible to thePCI-X bus, which thereby makes memory 404 available for use by the OSkernel 304 as the buffers for transfers from the disk controller and/ornetwork interface controller to the FAMs. It is also worth noting thatwhile a single FPGA 402 is shown on the printed circuit boards of FIGS.4( a) and (b), it should be understood that multiple FPGAs can besupported by either including more than one FPGA on the printed circuitboard 400 or by installing more than one printed circuit board 400 inthe computer system. FIG. 5 depicts an example where numerous FAMs in asingle pipeline are deployed across multiple FPGAs.

As shown in FIGS. 2-4, inbound data (from the kernel 304 to the card400) is moved across the bus 212 in the computer system to the firmwaresocket module 220 and then delivered by the firmware socket module 220to the FAM chain 230. Outbound data (from the card 400 to the kernel304) are delivered from the FAM chain 230 to the firmware socket module220 and then delivered by the firmware socket module 220 across thePCI-X bus to the software application executing on the computer system.As shown in FIG. 3, the three interacting interfaces that are used arethe firmware module interface 314, the hardware/software interface 312,and the software library interface 310.

In an effort to improve upon conventional market data platforms, theinventors herein disclose a new market data platform architecture, anembodiment of which is shown in FIG. 6. The market data platform 600shown in FIG. 6 consolidates the functional units 102 shown in FIG. 1into much fewer physical devices and also offloads much of the dataprocessing performed by the GPPs of the functional units 102 toreconfigurable logic.

For example, with the architecture of FIG. 6, the feed compressor 602can be deployed in an appliance such as system 200 shown in FIG. 2. Thereconfigurable logic 202 can be implemented on a board 400 as describedin connection with FIG. 4( a) or 4(b). Feed compressor 602 is used tocompress the content of the financial data stream 106 arriving fromvarious individual sources. Examples of compression techniques that canbe used include the open standard “glib” as well as any proprietarycompression technique that may be used by a practitioner of the presentinvention. Appropriate FAM modules and a corresponding FAM pipeline toimplement such a feed compression operation can be carried out by aperson having ordinary skill in the art using the design techniquesdescribed in connection with the above-referenced patent and patentapplications and basic knowledge in the art concerning feed compression.As a result, a variety of hardware templates available for loading onreconfigurable logic can be designed and stored for use by the marketdata platform 600 to implement a desired feed compression operation.

Preferably, the feed compressor device 602 is deployed in a physicallocation as close to the feed source 106 as possible, to thereby reducecommunication costs and latency. For example, it would be advantageousto deploy the feed compressor device 602 in a data center of an extranetprovider (e.g., Savvis, BT Radianz, etc.) due to the data center'sgeographic proximity to the source of the financial market data 106.Because the compression reduces message sizes within the feed stream106, it will be advantageous to perform the compression prior to thestream reaching wide area network (WAN) 620 a; thereby improvingcommunication latency through the network because of the smaller messagesizes.

WAN 620 preferably comprises an extranet infrastructure or privatecommunication lines for connection, on the inbound side, to the feedhandlers deployed in device 604. On the outbound side, WAN 620preferably connects with device 606, as explained below. It should benoted that WAN 620 can comprise a single network or multiple networks620 a and 620 b segmented by their inbound/outbound role in relation toplatform 600. It is also worth noting that a news feed with real-timenews wire reports can also be fed into WAN 620 a for delivery to device604.

Device 604 can be deployed in an appliance such as system 200 shown inFIG. 2. The reconfigurable logic 202 can be implemented on a board 400as described in connection with FIG. 4( a) or 4(b). Whereas theconventional GPP-based system architecture shown in FIG. 1 deployed thefunctional units of feed handling/ticker plant, rule-based calculationengines, an alert generation engine, options pricing, Last Value Cache(LVC) servers supplying snapshot and/or streaming interfaces, historicaltime-series oriented databases with analytics, and news databases withsearch capabilities in software on separate GPPs, the architecture ofFIG. 6 can consolidate these functions, either partially or in total, infirmware resident on the reconfigurable logic (such as one or moreFPGAs) of device 604.

Feed handlers, which can also be referred to as feed producers, receivethe real-time data stream, either compressed from the feed compressor602 as shown in FIG. 6 or uncompressed from a feed source, and convertsthat compressed or uncompressed stream from a source-specific format(e.g., an NYSE format) to a format that is common throughout the marketdata platform 600. This conversion process can be referred to as“normalization”. This “normalization” can be implemented in a FAM chainthat transforms the message structure, converts the based units ofspecific field values within each message, maps key field information tothe common format of the platform, and fills in missing fieldinformation from cached or database records. In situations where thereceived feed stream is a compressed feed stream, the feed handlerpreferably also implements a feed decompression operation.

LVCs maintain a database of financial instrument records whosefunctionality can be implemented in a FAM pipeline. Each recordrepresents the current state of that financial instrument in the marketplace. These records are updated in real-time via a stream of updatemessages received from the feed handlers. The LVC is configured torespond to requests from other devices for an up-to-the-instant recordimage for a set of financial instruments and redistribute a selectivestream of update messages pertaining to those requested records, therebyproviding real-time snapshots of financial instrument status. From thesesnapshots, information such as the “latest price” for a financialinstrument can be determined, as described in the above-referenced Ser.No. 10/153,151 application.

Rule-based calculation engines are engines that allow a user to createhis/her own synthetic records whose field values are derived fromcalculations performed against information obtained from the LVC,information extracted from a stream of update messages generated fromthe LVC, or from alternate sources. These rule-based calculation enginesare amenable to implementation in a FAM pipeline. It should also benoted that the rule-based calculation engine can be configured to createnew synthetic fields that are included in existing records maintained bythe LVC. The new values computed by the engine are computed by followinga set of rules or formulas that have been specified for each syntheticfield. For example, a rule-based calculation engine can be configured tocompute a financial instrument's Volume Weighted Average Price (VWAP)via a FAM pipeline that computes the VWAP as the sum of PxS for everytrade meeting criteria X, wherein P equals the trade price and wherein Sequals the trade size. Criteria X can be parameterized into a FAM filterthat filters trades based on size, types, market conditions, etc.Additional examples of rule-based calculations that can be performed bythe rule-based calculation engine include, but are not limited to, aminimum price calculation for a financial instrument, a maximum pricecalculation for a financial instrument, a Top 10 list for a financialinstrument or set of financial instruments, etc.

An alert generation engine can also be deployed in a FAM pipeline. Alertgeneration engines are similar to a rule-based calculation engine inthat they monitor the current state of a financial instrument record (orset of financial instrument records), and the alert generation enginewill trigger an alert when any of a set of specified conditions is met.An indication is then delivered via a variety of means to consumingapplications or end users that wish to be notified upon the occurrenceof the alert.

Option pricing is another function that is highly amenable toimplementation via a FAM pipeline. An “option” is a derivative financialinstrument that is related to an underlying financial instrument, andthe option allows a person to buy or sell that underlying financialinstrument at a specific price at some specific time in the future. Anoption pricing engine is configured to perform a number of computationsrelated to these options and their underlying instruments (e.g., thetheoretical fair market value of an option or the implied volatility ofthe underlying instrument based upon the market price of the option). Awide array of computational rules can be used for pricing options, as isknown in the art. Most if not all industry-accepted techniques foroptions pricing are extremely computation intensive which introducessignificant latency when the computations are performed in software.However, by implementing option pricing in a FAM pipeline, the marketdata platform 600 can significantly speed up the computation of optionpricing, thereby providing in important edge to traders who use thepresent invention. An example of options pricing functionality that canbe deployed in firmware is described in pending U.S. patent applicationSer. No. 11/760,211, filed Jun. 8, 2007, the entire disclosure of whichis incorporated herein by reference.

A time series database is a database that maintains a record for eachtrade or quote event that occurs for a set of financial instruments.This information may be retrieved upon request and returned in anevent-by-event view. Alternative views are available wherein events are“rolled up” by time intervals and summarized for each interval. Commonintervals include monthly, weekly, daily, and “minute bars” where theinterval is specified to be some number of minutes. The time seriesdatabase also preferably compute a variety of functions against thesehistoric views of data, including such statistical measures as volumeweighted average price (VWAP), money flow, or correlations betweendisparate financial instruments.

A news database maintains a historical archive of news stories that havebeen received from a news wire feed by way of the feed handler. The newsdatabase is preferably configured to allow end users or otherapplications to retrieve news stories or headlines based upon a varietyof query parameters. These query parameters often include news categoryassignments, source identifiers, or even keywords or keyword phrases.The inventors herein note that this searching functionality can also beenhanced using the search and data matching techniques described in theabove-referenced patent and patent applications.

Appropriate FAM modules and corresponding FAM pipelines to implementthese various functions for device 604 can be carried out by a personhaving ordinary skill in the art using the design techniques describedin connection with the above-referenced patent and patent applicationsand basic knowledge in the art concerning each function. As a result, avariety of hardware templates available for loading on reconfigurablelogic can be designed and stored in memory (such as on a disk embodiedby data store 204 in connection with FIG. 2) for use by the market dataplatform 600 to implement a desired data processing function. Persistentdata storage unit 630 can be accessible to device 604 as device 604processes the feed stream in accordance with the functionality describedabove. Storage 630 can be embodied by data store 204 or other memorydevices as desired by a practitioner of the invention.

Traders at workstations 104 (or application programs 150 running on anentity's own trading platform) can then access the streaming financialdata processed by device 604 via a connection to local area network(LAN) 622. Through this LAN connection, workstations 104 (andapplication program 15) also have access to the data produced by devices606, 608, 610, 612, 614, and 616. Like devices 602 and 604, devices 606,608, 610, 612, 614, and 616 can also be deployed in an appliance such assystem 200 shown in FIG. 2, wherein the reconfigurable logic 202 ofsystem 200 can be implemented on a board 400 as described in connectionwith FIG. 4( a) or 4(b).

Device 606 preferably consolidates the following functionality at leastpartially into firmware resident on reconfigurable logic: an order bookserver; an order router; direct market access gateways to exchanges,Electronic Communication Networks (ECNs), and other liquidity pools;trading engines; an auto-quote server; and a compliance journal.

An “order book server” is similar to a LVC in that the order book servermaintains a database in memory (e.g., in memory device 404 on board 400)of financial instrument records, and keeps that database up to date inreal-time via update messages received from the feed handlers. For eachrecord, the order book server preferably maintains a sorted list of thebids and offers associated with all outstanding orders for thatinstrument. This list is known as the “book” for that instrument. Theorder information for each instrument is received from a variety ofdifferent trading venues in stream 106 and is aggregated together toform one holistic view of the market for that particular instrument. Theorder book server is configured to respond to requests from workstation104 users or application programs 150 to present the book in a number ofdifferent ways. There are a variety of different “views”, including butnot limited to: a “top slice” of the book that returns orders whoseprices are considered to be within a specified number of price points ofthe best price available in the market (the best price being consideredto be the “top” of the book); a price aggregate view where orders at thesame price point are aggregated together to create entries that areindicative of the total number of orders available at each price point;and an ordinary view with specific trading venues (which are the sourceof orders) excluded.

An order router is a function that can take a buy or sell order for aspecified financial instrument, and based upon a variety of criteriaassociated with the order itself or the end user or applicationsubmitting the order, route the order (in whole or in part) to the mostappropriate trading venue, such as an exchange, an Alternate TradingSystem (ATS), or an ECN.

The direct market access gateway functionality operates to relay ordersto a trading venue (such as an exchange, ECN, ATS, etc.) via WAN 620 b.Before sending an order out however, the gateway preferably transformsthe order message to a format appropriate for the trading venue.

The trading engine functionality can also be deployed on reconfigurablelogic. An algorithmic trading engine operates to apply a quantitativemodel to trade orders of a defined quantity to thereby automaticallysubdivide that trade order into smaller orders whose timing and size areguided by the goals of the quantitative model so as to reduce the impactthat the original trade order may have on the current market price.Also, a black box trading engine operates to automatically generatetrades by following a mathematical model that specifies relationships orconditional parameters for an instrument or set of instruments. To aidthis processing, the black box trading engine is fed with real-timemarket data.

An auto-quote server is similar to a black box trading engine. Theauto-quote server operates to automatically generate firm quotes to buyor sell a particular financial instrument at the behest of a “marketmaker”; wherein a “market maker” is a person or entity which quotes abuy and/or sell price in a financial instrument hoping to make a profiton the “turn” or the bid/offer spread.

A feed/compliance journal can also be implemented in a FAM pipeline. Thefeed/compliance journal functions to store information (in persistentstorage 632) related to the current state of the entire market withregard to a particular financial instrument at the time a firm quote ortrade order is submitted to a single particular marketplace. Thefeed/compliance journal can also provide a means for searching storage632 to provide detailed audit information on the state of the marketwhen a particular firm quote or trade order was submitted. The inventorsherein note that this searching functionality can also be enhanced usingthe search and data matching techniques described in theabove-referenced patent and patent applications.

As mentioned above in connection with device 604, appropriate FAMmodules and corresponding FAM pipelines to implement these variousfunctions for device 606 can be carried out by a person having ordinaryskill in the art using the design techniques described in connectionwith the above-referenced patent and patent applications and basicknowledge in the art concerning each function. As a result, a variety ofhardware templates available for loading on reconfigurable logic can bedesigned and stored for use by the market data platform 600 to implementa desired data processing function. Persistent data storage unit 632,which can be embodied by data store 204, can be accessible to device 606as device 606 processes the feed stream in accordance with thefunctionality described above.

Device 608 preferably implements an internal matching system/engine infirmware resident on reconfigurable logic. An internal matchingsystem/engine operates to match a buyer's bid with a seller's offer tosell for a particular financial instrument, to thereby execute a deal ortrade. An indication of a completed trade is then submitted to theappropriate reporting and settlement systems. The internal matchingsystem/engine may create bids or offers as would a market maker in orderto provide an orderly market and a minimum amount of liquidity byfollowing a set of programmatically-defined rules.

Device 610 preferably implements an order management system (OMS) infirmware resident on reconfigurable logic. An OMS operates to facilitatethe management of a group of trading accounts, typically on behalf of abroker. The OMS will monitor buy and sell orders to ensure that they areappropriate for the account owner in question based upon his/her accountstatus, credit and risk profiles. The OMS typically incorporates adatabase via persistent storage 638 (which may be embodied by data store204) used to hold account information as well as an archive of ordersand other activity for each account.

Device 612 preferably implements entitlements and reportingfunctionality. A market data platform such as system 600 is a mechanismfor distributing data content to a variety of end users. Many contentproviders charge on a per user basis for access to their data content.Such content providers thus prefer a market data platform to have amechanism to prohibit (or entitle) access to specific content on anindividual user basis. Entitlement systems may also supply a variety ofreports that detail the usage of different content sets. To achieve thisfunctionality, device 612, in conjunction with database 634, preferablyoperates to maintain a database of users, including authenticationcredentials and entitlement information which can be used by devices604, 606, 608, 610 and 616 for entitlement filtering operations inconjunction with the data processing operations performed thereby.

Device 614 preferably implements management and monitoring for themarket data platform 600. Management and monitoring functionalityprovides a means for users to operate the applications running withinthe platform 600 and monitor the operational state and health ofindividual components thereon. Preferably, the management and monitoringfunctionality also provides facilities for reconfiguring the componentsas well as means for performing any other appropriate manual choresassociated with running the platform.

Device 616 preferably implements publishing and contribution serverfunctionality. Contribution servers (also known as publishing servers)allow users to convert information obtained from an end-user application(or some other source within his/her enterprise) into a suitable form,and to have it distributed by the market data platform 600.

As mentioned above in connection with devices 604 and 606, appropriateFAM modules and corresponding FAM pipelines to implement these variousfunctions for devices 608, 610, 612, 614, and 616 can be carried out bya person having ordinary skill in the art using the design techniquesdescribed in connection with the above-referenced patent and patentapplications and basic knowledge in the art concerning each function. Asa result, a variety of hardware templates available for loading onreconfigurable logic can be designed and stored for use by the marketdata platform 600 to implement a desired data processing function.Persistent data storage units 634 and 636 can be accessible to devices612 and 614 respectively as those devices process the data in accordancewith the functionality described above.

In deploying this functionality, at least in part, upon reconfigurablelogic, the following modules/submodules of the functions described aboveare particularly amenable to implementation on an FPGA: fixed recordformat message parsing, fixed record format message generation, FIXmessage parsing, FIX message generation, FIX/FAST message parsing,FIX/FAST message generation, message compression, message decompression,interest and entitlement filtering, financial instrument symbol mapping,record ID mapping, price summary LVC update/retrieve/normalize (LVC),order book cache update/retrieve/normalize (OBC), generic LVC (GVC),minute bar generation, programmatic field generation (with LVC, OBC,etc.), historic record search and filter, book-based algorithmic orderrouting, trade order generation, basket calculation (including ETF,index, and portfolio valuation), and autoquote generation. It should beunderstood by those having ordinary skill in the art that this list isexemplary only and not exhaustive; additional modules for financial dataprocessing can also be employed in a FAM or FAM pipeline in the practiceof the present invention.

With fixed record format message parsing, a fixed format message isdecomposed into its constituent fields as defined by a programmable“data dictionary”. Entries within the data dictionary describe thefields within each type of message, their positions and sizes withinthose messages, and other metadata about the field (such as data type,field identifiers, etc.). Preferably, the data dictionary is stored inpersistent storage such as data store 204 of the system 200. Uponinitialization of the FAM pipeline on board 400, the data dictionary isthen preferably loaded into memory 404 for usage by the FAM pipelineduring data processing operations.

With fixed record format message generation, a fixed format message isgenerated by concatenating the appropriate data representing fields intoa message record. The message structure and format is described by aprogrammable data dictionary as described above.

With FIX message parsing, a FIX-formatted message is decomposed into itsconstituent fields as defined by a programmable data dictionary asdescribed above; FIX being a well-known industry standard for encodingfinancial message transactions.

With FIX message generation, a FIX-formatted message is generated byconcatenating the appropriate data representing the fields into a FIXmessage record. Once again, the message structure and format isdescribed by a programmable data dictionary as described above.

With FIX/FAST message parsing, a FIX and/or FAST message (FAST being awell known variation of FIX) is decomposed into its constituent fieldsas defined by a programmable data dictionary as described above.

With FIX/FAST message generation, a FIX-formatted and/or FAST-formattedmessage is generated by concatenating the appropriate data representingfields into a FIX/FAST message record. The message structure and formatis defined by a programmable data dictionary as described above.

With message compression, a message record is compressed so as torequire less space when contained in a memory device and to require lesscommunication bandwidth when delivered to other systems. The compressiontechnique employed is preferably sufficient to allow for reconstructionof the original message when the compressed message is processed by acorresponding message decompression module.

With interest and entitlement filtering, a stream of messages comingfrom a module such as one of the caching modules described below (e.g.,price summary LVC, order book OBC, or generic GVC) is filtered basedupon a set of entitlement data and interest data that is stored for eachrecord in the cache. This entitlement and interest data defines a set ofusers (or applications) that are both entitled to receive the messagesassociated with the record and have expressed an interest in receivingthem. This data can be loaded into memory from storage 634 duringinitialization of the board 400, or from Application Software 300 duringnormal operation of the board 400. An exemplary embodiment of a FAMconfigured to perform interest and entitlement filtering is describedhereinafter with respect to FIG. 16.

With financial instrument symbol mapping, a common identifying stringfor a financial instrument (typically referred to as the “symbol”) ismapped into a direct record key number that can be used by modules suchas caching modules (LVC, OBC, GVC) to directly address the cache recordassociated with that financial instrument. The record key number mayalso be used by software to directly address a separate recordcorresponding to that instrument that is kept in a storage, preferablyseparate from board 400. An exemplary embodiment of a FAM configured toperform symbol mapping is described hereinafter with respect to FIGS.12-14.

With record ID mapping, a generic identifying string for a record ismapped into a direct record key number that can be used by a cachingmodule (e.g., LVC, OBC, GVC) or software to directly address the recordin a storage medium.

The price summary Last Value Cache update/retrieve/normalize (LVC)operation operates to maintain a cache of financial instrument recordswhose fields are updated in real-time with information contained instreaming messages received from a message parsing module, and toenhance or filter the messages received from a message parsing modulebefore passing them on to subsequent processing modules. The type ofupdate performed for an individual field in a record will be defined bya programmable data dictionary as described above, and may consist ofmoving the data field from the message to the record, updating therecord field by accumulating the data field over a series of messagesdefined within a time-bounded window, updating the record field only ifcertain conditions as defined by a set of programmable rules are true,or computing a new value based upon message and/or record field valuesas guided by a programmable formula. The type of enhancement orfiltering applied to an individual message may consist of replacing amessage field with one created by accumulating the data over a series ofmessages defined within a time-bounded window, flagging a field whosevalue falls outside of a programmatically defined range of values, orsuppressing the message in its entirety if the value of a field or setof fields fails to change with respect to the corresponding valuescontained within the cache record. An exemplary embodiment of a FAMconfigured to perform LVC updating is described hereinafter with respectto FIGS. 15( a) and (b).

The order book cache update, retrieve and normalize (OBC) operationoperates to maintain a cache of financial instrument records where eachrecord consists of an array of sub-records that define individual priceor order entries for that financial instrument. A sort order ismaintained for the sub-records by the price associated with eachsub-record. The fields of the sub-records are updated in real-time withinformation contained in streaming messages received from a messageparsing module. Sub-records associated with a record are created andremoved in real-time according to information extracted from the messagestream, and the sort order of sub-records associated with a given recordis continuously maintained in real-time. The type of update performedfor an individual field in a sub-record will be defined by aprogrammable data dictionary, and may consist of moving the data fieldfrom the message to the sub-record, updating the sub-record field byaccumulating the data field over a series of messages defined within atime-bounded window, updating the sub-record field only if certainconditions as defined by a set of programmable rules are true, orcomputing a new value based upon message and/or record or sub-recordfields as guided by a programmable formula. The OBC includes the abilityto generate various views of the book for a financial instrumentincluding but not limited to a price-aggregated view and a compositeview. A composite view is a sort order of the price or order entries fora financial instrument across multiple exchanges. The OBC also includesthe ability to synthesize a top-of-book quote stream. When an updateoperation causes the best bid or offer entry in a given record tochange, the OBC may be configured to generate a top-of-book quotereporting the current best bid and offer information for the financialinstrument. A synthesized top-of-book quote stream has the ability toreport best bid and offer information with less latency than anexchange-generated quote stream. This may be used to accelerate avariety of latency sensitive applications.

The Generic Last Value Cache (GVC) operation operates to maintain acache of records whose fields are updated in real-time with informationcontained in streaming messages received from a message parsing module.The structure of a record and the fields contained within it are definedby a programmable data dictionary, as described above. The type ofupdate performed for an individual field in a record will be defined bya programmable data dictionary, and may consist of moving the data fieldfrom the message to the record, updating the record field byaccumulating the data field over a series of messages defined within atime-bounded window, updating the record field only if certainconditions as defined by a set of programmable rules are true, orcomputing a new value based upon message and/or record field values asguided by a programmable formula.

A minute bar generation operation operates to monitor real-time messagesfrom a message parsing module or last value cache module for tradeevents containing trade price information, or for quote eventscontaining quote price information, and create “minute bar” events thatsummarize the range of trade and/or quote prices that have occurred overthe previous time interval. The time interval is a programmableparameter, as is the list of records for which minute bars should begenerated, and the fields to include in the generated events.

A Top 10 list generation operation operates to monitor real-timemessages from a message parsing module or last value cache module fortrade events containing price information and create lists ofinstruments that indicate overall activity in the market. Such lists mayinclude (where ‘N’ is programmatically defined): top N stocks with thehighest traded volume on the day; top N stocks with the greatestpositive price change on the day; top N stocks with the largestpercentage price change on the day; top N stocks with the greatestnegative price change on the day; top N stocks with the greatest numberof trade events recorded on the day; top N stocks with the greatestnumber of “large block” trades on the day, where the threshold thatindicates whether a trade is a large block trade is definedprogrammatically.

A programmatic field generation (via LVC, OBV, GVC, etc.) operationoperates to augment messages received from a message parsing module withadditional fields whose values are defined by a mathematical formulathat is supplied programmatically. The formula may reference any fieldwithin the stream of messages received from a message parsing module,any field contained within a scratchpad memory associated with thismodule, or any field contained within any record held within any therecord caches described herein.

A programmatic record generation (with LVC, OBC, GVC, etc.) operationoperates to generate records that represent synthetic financialinstruments or other arbitrary entities, and a series of event messagesthat signal a change in state of each record when the record is updated.The structure of the records and the event messages are programmaticallydefined by a data dictionary. The field values contained with the recordand the event messages are defined by mathematical formulas that aresupplied programmatically. The formulas may reference any field withinthe stream of messages received from a message parsing module, any fieldcontained within a scratchpad memory associated with this module, or anyfield contained within any record held within any the record cachesdescribed herein. Updates to field values may be generated upon receiptof a message received from another module, or on a time interval basiswhere the interval is defined programmatically. A basket calculationengine is one example of programmatic record generation. A syntheticinstrument may be defined to represent a given portfolio of financialinstruments, constituent instruments in an Exchange Traded Fund (ETF),or market index. The record for that synthetic instrument may includefields such as the Net Asset Value (NAV) and total change.

A historic record search and filter operation operates to filtermessages received from a message parsing module that represent a timeseries of events to partition the events into various sets, where eachset is defined by a collection of criteria applied to event attributes.The event message structure, criteria and attributes are allprogrammatically defined. Event attributes include, but are not limitedto: financial instrument symbol, class of symbol, time and date ofevent, type of event, or various indicator fields contained within theevent. Multiple events within a set may be aggregated into a singleevent record according to a collection of aggregation rules that areprogrammatically defined and applied to attributes of the individualevents. Aggregation rules may include, but are not limited to,aggregating hourly events into a single daily event, aggregating dailyevents into a single weekly event, or aggregating multiple financialinstruments into a single composite instrument.

These functions (as well as other suitable financial data processingoperations) as embodied in FAMs can then be combined to form FAMpipelines that are configured to produce useful data for a market dataplatform. For example, a feed compressor FAM pipeline can employ FAMsconfigured with the following functions: fixed record format messageparsing, fixed record format message generation, FIX message parsing,FIX message generation, FIX/FAST message parsing, FIX/FAST messagegeneration, message compression, and message decompression.

FIG. 7 illustrates an exemplary FAM pipeline for performing aFIX-to-FAST message transformation. FAM 702 is configured to receive anincoming stream of FIX messages and perform FIX message parsing thereon,as described above. Then the parsed message is passed to FAM 704, whichis configured to field decode and validate the parsed message. To aidthis process, FAM 704 preferably has access to stored templates andfield maps in memory 710 (embodied by memory 404 on board 400). Thetemplates identify what fields exist in a given message type, while thefield maps uniquely identify specific fields in those message (bylocation or otherwise). Next, FAM 704 provides its output to FAM 706,which is configured to perform a FAST field encode on the receivedmessage components. Memory 710 and any operator values stored in memory712 aid this process (memory 712 also being embodied by memory 404 onboard 400). The operator values in memory 712 contains various statevalues that are preserved form one message to the next, as defined bythe FAST encoding standard. Then, the encoded FAST messages areserialized by FAM 708 to form a FAST message stream and thereby completethe FIX to FAST transformation.

FIG. 8 illustrates an exemplary FAM pipeline for performing aFAST-to-FIX message transformation. An incoming FAST stream is receivedby FAM 802, which deserializes the stream of FAST messages. Thedeserialized FAST messages are then provided to FAM 804, which operatesto decode the various fields of the FAST messages as aided by thetemplates and field maps in memory 812 and the operator values in memory810. Thereafter, FAM 806 is preferably configured to perform messagequery filtering. Message query filters allow for certain messages to beexcluded from the message flow. Such filters are preferablyparameterized in FAM 806 such that filtering criteria based on the fieldvalues contained within each message can be flexibly defined and loadedonto the FPGA. Examples of filtering criteria that can be used to filtermessages include a particular type of instrument (e.g., common stock,warrant, bond, option, commodity, future, etc.), membership within aprescribed set of financial instruments (e.g., an index or “exchangetraded fund” (ETF)), message type, etc. Next, FAM 808 operates toperform FIX message generation by appropriately encoding the variousmessage fields, as aided by the templates and field maps in memory 812.Thus, the FAM pipeline shown in FIG. 8 operates to transform FASTmessage to FIX messages. Memory units 810 and 812 are preferablyembodied by memory 404 of board 400.

FIG. 9 depicts an exemplary FAM pipeline for carrying out a variety ofdata processing tasks. The FAM pipeline of FIG. 9 takes in a FASTmessage stream. FAMs 902 and 904 operate in the same manner as FAMs 802and 804 in FIG. 8. Thus, the output of FAM 904 comprises the datacontent of the FAST message decomposed into its constituent fields. Thiscontent is then passed to a variety of parallel FAMS 906, 908, and 910.FAM 906 performs an administrative record filter on the data itreceives. The administrative record filter preferably operates to passthrough message types that are not processed by any of the other FAMmodules of the pipeline. FAM 908 serves as a Top 10 lists engine, asdescribed above. FAM 910 serves as a message query filter, as describedabove.

The output of FAM 910 is then passed to FAM 912, which is configured asa rule-based calculation engine, as described above. FAM 912 alsoreceives data from a real time field value cache 926 to obtain LVC data,as does the top 10 list FAM 908. Cache 926 is preferably embodied bymemory 404 of board 400. The output from the rule-based calculationengine FAM 912 is then passed to parallel FAMs 914, 916, and 918. FAM914 serves as a message multiplexer, and receives messages from theoutputs of FAMs 906, 908 and 912. FAM 920 receives the messagesmultiplexed by FAM 914, and serves to encode those messages to a desiredformat. FAM 916 serves as an alert engine, whose function is explainedabove, and whose output exits the pipeline. FAM 918 serves as a valuecache update engine to ensuring that cache 926 stays current.

FIG. 10 depicts another exemplary FAM pipeline for carrying out multipledata processing tasks. FAM 1002 takes in a stream of fixed formatmessages and parses those messages into their constituent data fields.The output of FAM 1002 can be provided to FAM 1004 and FAM 1018. FAM1018 serves as a message synchronization buffer. Thus, as the fields ofthe original parsed message are passed directly from FAM 1002 to FAM1018, FAM 1018 will buffer those data fields while the upper path ofFIG. 10 (defined by FAMs 1004, 1006, 1008, 1010, 1012, and 1014) processselect fields of the parsed message. Thus, upon completion of theprocessing performed by the FAMs of the upper path, the messageformatting FAM 1016, can generate a new message for output from thepipeline using the fields as processed by the upper path for that parsedmessage as well as the fields buffered in FAM 1018. The messageformatter 1016 can then append the fields processed by the upper pathFAMs to the fields buffered in FAM 1018 for that message, replace selectfields buffered in FAM 1018 for that message with fields processed bythe upper path FAMs, or some combination of this appending andreplacing.

FAM 1004 operates to map the known symbol for a financial instrument (orset of financial instruments) as defined in the parsed message to asymbology that is internal to the platform (e.g., mapping the symbol forIBM stock to an internal symbol “12345”). FAM 1006 receives the outputfrom FAM 1004 and serves to update the LVC cache via memory 1024. Theoutput of FAM 1006 is then provided in parallel to FAMs 1008, 1010,1012, and 1014.

FAM 1008 operates as a Top 10 list generator, as described above. FAM1010 operates as a Minute Bar generator, as described above. FAM 1012operates as an interest/entitlement filter, as described above, and FAM1014 operates as a programmatic calculation engine, as described above.The outputs from FAMs 1008, 1010, 1012 and 1014 are then provided to amessage formatter FAM 1016, which operates as described above toconstruct a fixed format message of a desired format from the outputs ofFAMs 1008, 1010, 1012, 1014 and 1018.

In performing these tasks, FAM 1004 is aided by memory 1020 that storestemplates and field maps, as well as memory 1022 that stores a symbolindex. FAM 1006 is also aided by memory 1020 as well as memory 1024which serves as an LVC cache. Memory 1020 is also accessed by FAM 1008,while memory 1024 is also accessed by FAM 1014. FAM 1012 accessesinterest entitlement memory 1026, as loaded from storage 634 or providedby Application Software 300 during initialization of the board 400.

FIG. 11 depicts an exemplary FAM pipeline for performing the functionsof an exemplary ticker plant embodiment, including message parsing,symbol mapping, Last Value Cache (LVC) updates, and interest andentitlement filtering.

Message Parser FAM 1102 ingests a stream of messages, parses eachmessage into its constituent fields, and propagates the fields todownstream FAMs. Message fields required for processing in FAMs 1104,1106, and 1108 are passed to FAM 1104. Other message fields are passedto Message Synchronization Buffer FAM 1112. Message Parser FAM 1102 maybe implemented to support a variety of message formats, includingvarious types of fixed-formats and self-describing formats. A preferablemessage format provides sufficient flexibility to support the range ofpossible input events from financial exchanges. In a preferredimplementation, the Message Parser FAM 1102 may be configured to supportdifferent message formats without altering the firmware. This may beachieved by loading message format templates into Template & Field Mapbuffer 1120. Message Parser FAM 1102 reads the message formatdescription from buffer 1120 prior to processing input messages to learnhow a given message is to be parsed.

Like FAM 1004 in FIG. 10, Symbol ID Mapping FAM 1104 operates to map theknown symbol for a financial instrument (or set of financialinstruments) as defined in the parsed message to a symbology that isinternal to the platform (e.g., mapping the symbol for IBM stock to aninternal symbol “12345”). Preferably, the internal platform symbolidentifier (ID) is an integer in the range 0 to N−1, where N is thenumber of entries in Symbol Index Memory 1122. Preferably, the symbol IDis formatted as a binary value of size M=log₂(N) bits. The format offinancial instrument symbols in input exchange messages varies fordifferent message feeds and financial instrument types. Typically, thesymbol is a variable-length ASCII character string. A symbology ID is aninternal control field that uniquely identifies the format of the symbolstring in the message. As shown in FIG. 12, a symbology ID is preferablyassigned by the feed handler, as the symbol string format is typicallyshared by all messages on a given input feed.

A preferred embodiment of the Symbol ID Mapping FAM maps each uniquesymbol character string to a unique binary number of size M bits. In thepreferred embodiment, the symbol mapping FAM performs a format-specificcompression of the symbol to generate a hash key of size K bits, where Kis the size of the entries in the Symbol Index Memory 1122. Thesymbology ID may be used to lookup a Key Code that identifies the symbolcompression technique that should be used for the input symbol.Preferably, the symbol mapping FAM compresses the symbol usingformat-specific compression engines and selects the correct compressedsymbol output using the key code. Preferably, the key code isconcatenated with the compressed symbol to form the hash key. In doingso, each compression technique is allocated a subset of the range ofpossible hash keys. This ensures that hash keys will be unique,regardless of the compression technique used to compress the symbol. Anexample is shown in FIG. 12 wherein the ASCII symbol for a financialinstrument is compressed in parallel by a plurality of differentcompression operations (e.g., alpha-numeric ticker compression, ISINcompression, and commodity compression). Compression techniques fordifferent symbologies can be selected and/or devised on an ad hoc basisas desired by a practitioner of the invention. A practitioner of thepresent invention is free to select a different compression operation asmay be appropriate for a given symbology. Based on the value of the keycode, the symbol mapping FAM will pass one of the concatenations of thekey code and compression results as the output from the multiplexer foruse as the hash key.

Alternatively, the format-specific compression engines may beimplemented in a programmable processor. The key code may then be usedto fetch a sequence of instructions that specify how the symbol shouldbe compressed.

Once the hash key is generated, the symbol mapping FAM maps the hash keyto a unique address in the Symbol Index Memory in the range 0 to N−1.The Symbol Index Memory may be implemented in a memory “on-chip” (withinthe reconfigurable logic device) or in “off-chip” high speed memorydevices such as SRAM and SDRAM that are accessible to the reconfigurablelogic device. Preferably, this mapping is performed by a hash function.A hash function attempts to minimize the number of probes, or tablelookups, to find the input hash key. In many applications, additionalmeta-data is associated with the hash key. In the preferred embodiment,the location of the hash key in the Symbol Index Memory is used as theunique internal Symbol ID for the financial instrument.

FIG. 13 shows a preferred embodiment of a hash function to perform thismapping that represents a novel combination of known hashing methods.The hash function of FIG. 13 uses near-perfect hashing to compute aprimary hash function, then uses open-addressing to resolve collisions.The hash function H(x) is described as follows:

H(x)=(h1(x)+(i*h2(x)))mod N

h1(x)=A(x)⊕d(x)

d(x)=T(B(x))

h2(x)=C(x)

The operand x is the hash key generated by the previously describedcompression stage. The function h1(x) is the primary hash function. Thevalue i is the iteration count. The iteration count i is initialized tozero and incremented for each hash probe that results in a collision.For the first hash probe, hash function H(x)=h1(x), thus the primaryhash function determines the first hash probe. The preferred hashfunction disclosed herein attempts to maximize the probability that thehash key is located on the first hash probe. If the hash probe resultsin a collision, the hash key stored in the hash slot does not match hashkey x, the iteration count is incremented and combined with thesecondary hash function h2(x) to generate an offset from the first hashprobe location. The modulo N operation ensures that the final result iswithin the range 0 to N−1, where N is the size of the Symbol IndexMemory. The secondary hash function h2(x) is designed so that itsoutputs are prime relative to N. The process of incrementing i andrecomputing H(x) continues until the input hash key is located in thetable or an empty table slot is encountered. This technique of resolvingcollisions is known as open-addressing.

The primary hash function, h1(x), is computed as follows. Compute hashfunction B(x) where the result is in the range 0 to Q−1. Use the resultof the B(x) function to lookup a displacement vector d(x) in table Tcontaining Q displacement vectors. Preferably the size of thedisplacement vector d(x) in bits is equal to M. Compute hash functionA(x) where the result is M bits in size. Compute the bitwise exclusiveOR, ⊕, of A(x) and d(x). This is one example of near-perfect hashingwhere the displacement vector is used to resolve collisions among theset of hash keys that are known prior to the beginning of the querystream. Typically, this fits well with streaming financial data wherethe majority of the symbols for the instruments trading in a given dayis known. Methods for computing displacement table entries are known inthe art.

The secondary hash function, h2(x), is computed by computing a singlehash function C(x) where the result is always prime relative to N. Hashfunctions A(x), B(x), and C(x) may be selected from the body of knownhash functions with favorable randomization properties. Preferably, hashfunctions A(x), B(x), and C(x) are efficiently implemented in hardware.The set of H3 hash functions are good candidates. (See Krishnamurthy etal., “Biosequence Similarity Search on the Mercury System”, Proc. of theIEEE 15th Int'l Conf. on Application-Specific Systems, Architectures andProcessors, September 2004, pp. 365-375, the entire disclosure of whichis incorporated herein by reference).

Once the hash function H(x) produces an address whose entry is equal tothe input hash key, the address is passed on as the new Symbol ID to beused internally by the ticker plant to reference the financialinstrument. As shown in FIG. 13, the result of the hash key comparefunction may be used as a valid signal for the symbol ID output.

Hash keys are inserted in the table when an exchange message contains asymbol that was unknown at system initialization. Hash keys are removedfrom the table when a financial instrument is no longer traded.Alternatively, the symbol for the financial instrument may be removedfrom the set of known symbols and the hash table may be cleared,recomputed, and initialized. By doing so, the displacement table usedfor the near-perfect hash function of the primary hash may be optimized.Typically, financial markets have established trading hours that allowfor after-hours or overnight processing. The general procedures forinserting and deleting hash keys from a hash table where open-addressingis used to resolve collisions is well-known in the art.

In a preferred embodiment, the symbol mapping FAM also computes a globalexchange identifier (GEID) that maps the exchange code and country codefields in the exchange message to an integer in the range 0 to G−1, asshown in FIG. 14. Similar to the symbol field for financial instruments,the exchange code and country code fields uniquely identify the sourceof the exchange message. The value of G should be selected such that itis larger than the total number of sources (financial exchanges) thatwill be generating input messages for a given instance of the system.Hashing could be used to map the country codes and exchange codes to theGEID. Alternatively, a “direct addressing” approach can be used to mapcountry and exchange codes to GEIDs. For example, the exchange code andcountry codes can each be represented by two character codes, where thecharacters are 8-bit upper-case ASCII alpha characters. These codes canthen be truncated to 5-bit characters in embodiment where only 26 uniquevalues of these codes are needed. For each code, these truncated valuesare concatenated to generate a 10-bit address that is used to lookup acompressed intermediate value in a stage 1 table. Then the compressedintermediate values for the exchange and country code can beconcatenated to generate an address for a stage 2 lookup. The result ofthe stage 2 lookup is the GEID. The size of the intermediate values andthe stage 2 address will depend on the number of unique countries andthe max number of exchanges in any one country, which can be adjusted asnew exchanges open in different countries.

Symbol mapping FAM 1106 passes input message field values, the symbolID, and global exchange ID to Last Value Cache (LVC) Update FAM 1106.LVC Update FAM serves to update the LVC cache via memory 1124, as wellas message fields that may depend on record field values. One example isthe tick direction which indicates if the price in the message is largeror smaller than the previous price captured in the record.

As shown in FIGS. 15( a) and (b), the LVC memory manager retrieves oneor more records associated with the financial instrument. The LVC memorymanager passes the record and message fields to the LVC message/recordupdater. The LVC message/record updater contains a set of update enginesthat update the record and message fields according to specifiedbusiness logic. The business logic for field updates may vary accordingto a number of parameters including event type (trade, quote, cancel,etc.), financial instrument type (security, option, commodity, etc.),and record type. In a preferred embodiment, the update engines aredirected by business logic templates contained in Templates & Field Maps1120. Techniques for template-driven update engines are well-known inthe art.

Record fields may include but are not limited to: last trade price, lasttrade size, last trade time, best bid price, best bid size, best bidtime, best ask price, best ask size, best ask time, total trade volume,daily change, tick direction, price direction, high trade price, highprice time, low trade price, low price time, and close price. In apreferred embodiment, record fields also include derived fields such as:total trade volume at bid, total trade volume at ask, traded value,traded value at bid, traded value at ask, and volume-weighted averageprice (VWAP).

As reflected in FIGS. 15( a) and (b), a preferred embodiment of the LVCUpdate FAM maintains a composite record and a set of regional recordsfor every financial instrument observed on the input feeds. A compositerecord reflects the current state of the financial instrument across allexchanges upon which it trades. A regional record reflects the currentstate of the financial instrument on a given exchange. For example, ifstock ABC trades on exchanges AA, BB, and CC, then four records will bemaintained by the LVC Update FAM, one composite record and threeregional records. If an input message reports a trade of stock ABC onexchange BB, then the LVC Update FAM updates the composite record forABC, the regional record for ABC on exchange BB, and the message fieldsaccording to the business logic for stock trade events on exchange BB.

As shown in FIG. 15( a), the LVC Memory Manger uses the symbol ID andglobal exchange ID to retrieve the composite and regional record. In apreferred embodiment, the symbol ID is used to retrieve an entry in therecord management memory. The entry contains a valid flag, a compositerecord pointer, and a regional list pointer. The valid flag indicateswhether the symbol ID is known, record(s) have been allocated, and thepointers in the entry are valid.

If the valid flag is set, the LVC Memory Manager uses the compositerecord pointer to retrieve the composite record from the record storagememory. The composite record is passed to the LVC message/record updaterwhere it is stored in a composite record buffer for processing by theupdate engines. The LVC Memory Manger uses the regional list pointer toretrieve a regional list from the record storage memory. Note thatregional list blocks may also be stored in the record management memoryor in another independent memory. The regional list block containspointers to the regional records for the financial instrument identifiedby the symbol ID. Since each regional record reflects the state of theinstrument on a given exchange, a global exchange ID is stored with eachregional pointer. The pointer to the regional record associated with theexchange specified in the message is located by matching the globalexchange ID computed by the Symbol ID Mapping FAM. The LVC Memory Mangeruses the regional pointer associated with the matching global exchangeID to retrieve the regional record from the record storage memory. Theregional record is passed to the LVC message/record updater where it isstored in a regional record buffer for processing by the update engines.

If the valid flag in the record management memory entry is not set, thenthe LVC Memory Manager creates a new composite record, a new regionallist block, and a new regional record for the financial instrument. Theinitial values for record fields may be drawn from Templates and FieldMaps 1120. The regional list block will be initialized with at least oneentry that contains a pointer to the new regional record and the globalexchange ID received from the Symbol ID Mapping FAM. The LVC MemoryManger uses a free space pointer to allocate available memory in therecord storage memory. After the memory is allocated, the free spacepointer is updated. Freeing unused memory space, defragmenting memory,and adjusting the free space pointer may be performed by the LVC MemoryManager or by control software during market down times. Techniques forfreeing memory space and defragmenting are well-known in the art. Oncethe records are initialized in record storage memory, the LVC MemoryManger writes the pointers into the management memory entry and sets thevalid flag.

The LVC Memory Manager may also encounter a case where the valid flag inthe memory management entry is set, but a matching global exchange ID isnot found in the regional list. This will occur when a known financialinstrument begins trading on a new exchange. In this case, the LVCMemory Manager allocates a new regional record and creates a new entryin the regional list block.

Once the record and message fields are loaded into their respectivebuffers, the update engines perform the field update tasks as specifiedby the business logic. Upon completion of their update tasks, the updateengines signal the LVC Memory Manager. When all processor enginescomplete, the LVC Memory Manager writes updated records back to recordstorage memory. Processing can be deployed across the plurality ofupdate engines in any of a number of ways. In one embodiment, a givenrecord and its related message fields are passed through a sequence ofupdate engines arranged in a pipeline. In another embodiment, eachrecord and its related message fields are passed directly to an updateengine that is configured to perform processing appropriate for the typeof processing that the record and message fields needs. Preferably, theLVC updater is configured to balance the distribution of records andmessage fields across the plurality of different update engines so thata high throughput is maintained. In an exemplary embodiment, each updateengine is configured to be responsible for updating a subset of therecord fields (either regional or composite), with multiple enginesoperating in parallel with each other.

The LVC message/record updater passes updated message fields andinterest lists to the Interest Entitlement Filter FAM 1108. An interestlist contains a set of unique identifiers for users/applications thatregistered interest in receiving updates for the financial instrument.In a preferred embodiment, the set of user identifiers is specifiedusing a bit vector where each bit position in the vector corresponds toa user identifier. For example, a 4-bit vector with the value 1010represents the set of user identifiers {3,1}. The size of the interestlist in bits is equal to the total number of user subscriptions allowedby the Ticker Plant. In a preferred embodiment, each record contains aninterest list that is updated in response to user subscribe andunsubscribe events. By maintaining an interest list in the compositerecord, the Ticker Plant allows a subscription to include alltransactions for a given financial instrument on every exchange uponwhich it trades. Preferably, each interest list for a given record isstored with that record in the record storage memory. Control softwarefor the ticker plant, which maintains the set of interest lists for eachrecord in a control memory can be configured to advise the LVC FAM of anew interest list vector for a given record so that the record storagememory can be updated as appropriate. Other types of subscriptions, suchas exchange-based subscriptions, may also be enabled by the FAMpipeline.

In a preferred embodiment, the record storage memory and/or the recordmanagement memory is an external memory to the reconfigurable logic,such as a Synchronous Random Access Memory (SRAM) or Synchronous DynamicRandom Access Memory (SDRAM) device. Read and write transactions toexternal memory devices incur processing delays. A common technique forimproving processing performance is to mask these delays by performingmultiple transactions in a pipelined fashion. The LVC Memory Manger isdesigned as a pipelined circuit capable of performing the variousprocessing steps in parallel, therefore allowing it to mask memorylatencies and process multiple messages in parallel. Doing so enablesthe LVC Memory Manger to process more messages per unit time, i.e.achieve higher message throughput. By employing a functional pipeline,the LVC Memory Manager preferably recognizes occurrences of the samesymbol ID within the pipeline and ensure correctness of records inupdate engine buffers. One method for doing so is to stall the pipelineuntil the updated records associated with the previous occurrence of thesymbol ID are written back to record storage memory. In a preferredembodiment, the LVC Memory Manager utilizes a caching mechanism toalways feed the correct record field values to the update enginebuffers. Techniques for a memory cache are well-known in the art. Thecaching mechanism can be embodied as a memory, preferably a high-speedmemory, located either on-chip (within the reconfigurable logic device)or off-chip (e.g., an SRAM or SDRAM device accessible to thereconfigurable logic device). However, it should also be noted that thecache can also be embodied by a full memory hierarchy with a multi-levelcache, system memory, and magnetic storage. A record typically stays inthe cache memory for the duration of a trading day. Such recentlyupdated records can then be flushed out of the cache during an overnightprocessing (“roll”) and archived. However, it should be noted that thecache can be configured to maintain records so long as space isavailable in the cache for storing new records, in which case a FIFOscheme can be used to maintain the cache.

FIG. 15( b) presents an exemplary functional pipeline for masking memoryand processing latencies. As discussed in relation to FIG. 15( a), theaddress resolution block determines the address of the regional andcomposite records using the symbol ID and global exchange ID to locatethe memory management entry and regional list block. Note that eachfunctional block in FIG. 15( b) may also be implemented in a pipelinedfashion. For example, one sub-block in the address resolution block mayissue a stream of read commands to the record management memory toretrieve record management entries. Another sub-block may process thestream of returned entries and issue a stream of read commands to therecord storage memory to retrieve regional list blocks. Anothersub-block may process the stream of returned list blocks to resolveregional record addresses. The last sub-block of the address resolutionblock passes the regional and composite record addresses to the cachedetermination block. By tracking the sequence of record addresses, thisblock determines the physical location of the “current” (mostup-to-date) records: in the record cache or in the record storagememory. The cache determination block passes the physical recordpointers to the record retrieval block. The record retrieval blockfetches the records from the specified locations, loads them into theprocessing buffers for updating, then signals the processors to beginprocessing. Note that if the record cache and processing buffers are inthe same memory space, the record retrieval block may essentially queueup several sets of records for the processors, allowing the processorsto complete a processing task and immediately move on to the next set ofrecords, even if the same set of records must be updated sequentially.Once the processors complete a set of records, they signal the recordupdating block to write the updated records back to record storagememory. Depending on the implementation of the record cache, copies ofthe updated records are written to cache or simply persist in theprocessing buffers for a period of time. In parallel, updated messagefields are passed to the downstream FAM.

The LVC Update FAM 1106 passes interest lists, the global exchange ID,and updated message fields to the Interest Entitlement FAM 1108. TheInterest Entitlement FAM computes a single interest list that is used todistribute the output message to the set of users/applications that haveregistered interest and are entitled to receive the message. Aspreviously described, interest may be registered by subscribing toupdates for the regional or composite interest, as well as subscribingto all updates from a given exchange. Access to real-time financial datais typically a purchased service where the price may vary depending onthe scope of data access. In a preferred embodiment, a ticker plant iscapable of accepting subscription requests from users/applications withvarying levels of data access privileges.

As shown in FIG. 16, a preferred embodiment of the Interest EntitlementFAM operates on interest lists specified as bit vectors. The globalexchange ID is used to lookup the exchange interest list in the exchangeinterest table. By using an exchange interest list, the embodiment ofFIG. 16 allows traders to request notification of everything traded on agiven exchange without individually subscribing to every instrumenttraded on that given exchange. Note that a global interest list,specifying users interested in all events, may also be stored in aregister in the FAM. As shown in FIG. 16, all interest list vectorsapplicable to a message are combined using a bitwise OR operation. Theresulting composite interest list vector contains the set of users thatare interested in receiving the output message. An entitlement ID isused to lookup an entitlement mask. The entitlement ID may be specifiedby the feed handler that receives messages from the exchange, oralternative mechanisms such as a lookup based on message fields such asthe global exchange ID, event type, and instrument type. Similar to theinterest lists, the entitlement mask specifies which users/applicationsare entitled to receive the output message. The entitlement mask isapplied to the combined interest list using a bitwise AND operation. Theresult is the final entitled interest vector specifying the set ofentitled and interested users/applications. If the entitled interest bitvector is empty (e.g., all zeros), the message can be dropped from thepipeline. This entitled interest list and the message fields receivedfrom the LVC Update FAM are passed to the Message Formatter FAM 1110.

As previously described, the Message Formatter FAM 1110 serves toconstruct an output message from updated fields received from theInterest Entitlement Filter FAM and fields contained in the MessageSynch Buffer FAM 1112. In a preferred embodiment, the format of theoutput message is specified by the Templates and Field Maps 1120. In apreferred embodiment, the output message includes the entitled interestlist computed by the Interest Entitlement Filter. A subsequentfunctional block in the Ticker Plant processes the interest list andtransmits copies of the output message to the interested and entitledusers/applications.

FIG. 17 depicts an exemplary embodiment of a ticker plant highlightingthe interaction and data flow amongst the major subcomponents thatenable this embodiment of a ticker plant to maintain high performanceand low latency while processing financial data. FIGS. 18, 19, 20, 21,and 22 depict detailed views of the data flow and the componentinteraction presented in FIG. 16. These figures provide additionalinformation for inbound exchange data processing, data normalization,interaction with reconfigurable logic, data routing, and clientinteraction respectively.

Financial market data generated by exchanges is increasing at anexponential rate. Individual market events (trades, quotes, etc) aretypically bundled together in groups and delivered via an exchange feed.These exchange feeds are overwhelmingly delivered to subscribers usingthe Internet Protocol over an Ethernet network. Due to constraints onpacket size dictated by the network environment, data groups transmittedby the exchange tend to be limited to sizes less than 1500 bytes.

As market data rates increase, the number of data groups that must beprocessed by a ticker plant increases. In typical ticker plantenvironments, each network packet received by the ticker plant must beprocessed by the network protocol stack contained within the OperatingSystem and delivered to a user buffer. This processing includes one ormore data copies and an Operating System transition from “kernel” or“supervisor” mode to user for each exchange data packet. An increase indata rates in turn increases the processing burden on the ticker plantsystem to deliver individual exchange data messages to the user levelprocess.

The device depicted in FIG. 17 uses a novel approach to efficientlydeliver the exchange data to the user process. FIG. 18 shows theexemplary data flow for inbound exchange traffic in a ticker plant.Exchange data enters the ticker plant at 1801 and is processed by theOperating System supplied network protocol stack. Typical ticker plantsuse a user-mode interface into the network protocol stack at 1802. Thismethod of connecting to the protocol stack incurs processing overheadrelating to buffer copies, buffer validation, memory descriptor tablemodifications, and kernel to user mode transitions for every networkdata packet received by the ticker plant. As shown in FIG. 18, an UpjectDriver is employed that interfaces with the operating system suppliednetwork protocol stack at the kernel level at 1803. Individual datapackets are processed at the kernel level and copied directly into aring buffer at 1804, thus avoiding subsequent data copies and kernel touser mode transitions incurred when accessing the protocol stack via theuser mode interface.

The ring buffers employed by the Upject Driver are shared memory ringbuffers that are mapped into both kernel and user address spacessupported by the Operating System at 1805. The boundary between kernelmode operations and user mode operations is shown at 1806. Data writtento the kernel address space of one of these ring buffers is instantlyaccessible to the user mode code because both the user mode and kernelmode virtual addresses refer to the same physical memory. Utilizing theshared ring buffer concepts, the preferred embodiment of a Ticker Plantdoes not have to perform user to kernel mode transitions for eachnetwork data packet received and thus achieves a performance boost.Additionally, the Upject Driver can utilize the shared ring bufferlibrary to directly transfer inbound data to other kernel processes,device drivers, or user processes at 1807. This versatile shared ringbuffer interconnect enables fast-track routing of network trafficdirectly to Reconfigurable logic via the Hardware Interface Driver.

General purpose computers as known in the art employ “multi-core” or“multi-processor” technology to increase the available compute resourcesin a computer system. Such multi-core systems allow the simultaneousexecution of two or more instruction streams, commonly referred to as“threads of execution”. To fully utilize the compute power of thesemultiple processor systems, software must be designed to intelligentlymanage thread usage, resource contention and interdependencies betweenprocessing threads. The data normalization component of the preferredembodiment of a Ticker Plant employs thread groups to efficientlynormalize raw exchange data.

Thread groups improve processing efficiency of the preferred embodimentof a Ticker Plant by using the following techniques:

-   -   1. Limit the execution of the Operating System scheduling        mechanism by matching the number of worker threads to the number        of available instruction processors.    -   2. Enable multiple exchange feeds to be processed by a single        thread group.    -   3. Eliminate resource contention between different thread        groups.    -   4. Remove synchronization points within the compute path of each        thread group, further increasing processing efficiency.    -   5. Perform message normalization in a single compute path,        including line arbitration, gap detection, retransmission        processing, event parsing, and normalized event generation.    -   6. Associate exchange feeds with individual thread groups using        a configuration file.

FIG. 19 depicts the processing of several thread groups. Each threadgroup contains a single thread of execution at 1901. All operationsperformed by a thread group are executed on the single processing threadassociated with the thread group. A separate input ring buffer isassociated with each thread group at 1902. Inbound exchange data isdeposited into the appropriate ring buffer. The processing thread forthe thread group detects the presence of new data in the ring buffer andinitiates normalization processing on the data one event at a time at1903. Normalization processing involves parsing inbound messages,arbitrating amongst messages received on multiple lines, detectingsequence gaps, initiating retransmission requests for missed messages,eliminating duplicate events, and generating normalized exchangedevents. This processing results in the creation of normalized eventsthat are deposited into an output ring buffer at 1904.

All of the processing for any single thread group is completelyindependent of the processing for any other thread group. No datalocking or resource management is required during the normalizationprocess which eliminates the possibility of thread blocking due tocontention for a shared resource. The preferred embodiment of a TickerPlant supports a variable number of thread groups at 1905. The number ofthread groups and the number of exchange feeds processed by each threadgroup are configurable, enabling the Ticker Plant to efficiently utilizeadditional compute resources as they become available in futuregenerations of computer systems. The association of inbound data feedswith individual thread groups is defined in a configuration file that isread during initialization processing.

The Hardware Interface Driver in the preferred embodiment of a TickerPlant is optimized to facilitate the efficient movement of large amountsof data between system memory and the reconfigurable logic. FIG. 20shows the data movement between the Hardware Interface Driver and thereconfigurable logic. User mode application data destined for thereconfigurable logic is written to one of the shared memory ring buffersat 2001. These are the same buffers shown at 1904 in FIG. 19. These ringbuffers are mapped into both kernel address space and into user space.Data written to these buffers is immediately available for use by theHardware Interface Driver at 2002. The boundary between user space andkernel space is noted at 2003.

The Hardware Interface Driver is responsible for updating descriptortables which facilitates the direct memory access (DMA) data transfersto the reconfigurable logic. Normalized market data events aretransferred to the reconfigurable logic at 2004. The reconfigurablelogic and Firmware Application Module Chain perform the operationalfunctions as noted above. Processed market events are transferred backto the Hardware Interface Driver at 2005 and deposited into a ringbuffer at 2006.

A novel feature of the preferred embodiment of a Ticker Plant is theability to route data to consumers through a “fast track” by bypassingthe time consuming data copies and Operating System mode switches. Anoperating system mode switch occurs whenever software transitionsbetween user mode processing and kernel mode processing. Mode switchesare expensive operations which can include one or more of the followingoperations: software interrupt processing, address validation, memorylocking and unlocking, page table modifications, data copies, andprocess scheduling. FIG. 21 depicts an exemplary design of a low latencydata routing module. After processing by the reconfigurable logic,market data events are delivered to the Hardware Interface Driver at2101. Each market data event as shown at 2102 contains a routing vectorat 2103. This routing vector, which is preferably embodied by theentitled interest bit vector, is populated by the reconfigurable logic(preferably the interest and entitlement FAM) and contains theinformation necessary to deliver each event to the appropriateconsumers. A table maintained by the software preferably translates thebit positions of the entitled interest bit vector to the actual entitiesentitled to the subject data and who have expressed interest in beingnotified of that data.

The Hardware Interface Driver calls into the MDC Driver for each eventreceived from the reconfigurable logic at 2104. The MDC Driver isresponsible for the fast track data routing of individual enhancedmarket data events. The routing information associated with each eventis interrogated at 2105. This interrogation determines the set ofdestination points for each event. Each event can be routed to one ormore of the following: kernel modules, protocol stacks, device drivers,and/or user processes. Exception events, results from maintenancecommands, and events that require additional processing are routed via aslow path to the user mode background and maintenance processing moduleat 2106. The background and maintenance processing module has theability do inject events directly into the Hardware Interface Driver at2107 for delivery to the reconfigurable logic or to the MDC Driver at2108 for delivery to a connected consumer.

Similar to the Upject Driver, the MDC Driver also maintains a kernellevel interface into the Operating System supplied network protocolstack at 2109. This kernel level interface between the MDC Driver andthe protocol stack provides a fast path for delivering real-time marketevents to clients connects via a network at 2110. The event routinglogic contained within the MDC Driver interrogates the event routinginformation contained in each event and passes the appropriate eventsdirectly to the network protocol stack.

The MDC driver also has the ability to route market events to otherconsumers at 2111. These other consumers of real-time market eventsinclude, but are not limited to, network drivers for clients connectedvia a variety of network interconnect methodologies, kernel-mode modulesor device drivers, hardware devices including reconfigurable logic, anddifferent user mode processes. The MDC Driver is a flexible data routingcomponent that enables the preferred embodiment of a Ticker Plant todeliver data to clients with the lowest possible latency.

FIG. 22 depicts an exemplary model for managing client connections.Remote clients connect to the over a network that is driven by anOperating System supplied network protocol stack at 2201. A requestprocessing module interfaces with the Operating System supplied networkprotocol stack in user mode at 2202. The request processing moduleparses and validates all client requests. Client requests are thenpassed to the background and maintenance processing module at 2203.Clients typically make subscription requests that include the name ofone or more securities instruments. A subscription request for a validinstrument results in a successful response sent back to the client via2205 and a refresh image representing the current prices of therequested instrument that is initiated at 2204. Additional controlinformation is sent to the Firmware Application Module Chain to enablethe routing of all subsequent events on the specified instrument to theclient. Additional requests can be made for an instantaneous datasnapshot, historical data, and other data or services, including but notlimited to options calculation, user defined composites, and basketcalculations.

Depending on the nature of the client request, the background andmaintenance processing module can either issue commands to the FAMscontained in reconfigurable logic via the Hardware Interface Driver at2204, or it can respond directly to client request by sending properlyformatted responses to the MDC driver at 2205. The MDC Driver usesspinlocks to synchronize responses to client requests with real-timemarket events at 2206. Responses to client requests and real-time marketevents are processed in the same manner by the MDC Driver using commonevent routing logic. Events and responses destined for a remote clientare passed via a fast track path to the Operating System suppliednetwork protocol stack at 2207 for delivery to the remote client.

Thus, as shown in FIG. 6, a platform 600 developed in the practice ofthe invention can be designed to improve data processing speeds forfinancial market information, all while reducing the number ofappliances needed for platform 600 (relative to conventional GPP-basedsystems) as well as the space consumed by such a platform. With aplatform 600, a user such as a trader at a work station 104 (or even acustomer-supplied application software program 150 that accesses theplatform via an application programming interface (API), can obtain avariety of information on the financial markets with less latency thanwould be expected from a conventional system. This improvement inlatency can translate into tremendous value for practitioners of theinvention.

While these figures illustrate several embodiments of FAM pipelines thatcan be implemented to process real time financial data streams, itshould be noted that numerous other FAM pipelines could be readilydevised and developed by persons having ordinary skill in the artfollowing the teachings herein.

Further still it should be noted that for redundancy purposes and/orscaling purposes, redundant appliances 604, 606, 608, 610, 612, 614 and616 can be deployed in a given market data platform 600. Furthermore, itshould also be noted that a practitioner of the present invention maychoose to deploy less than all of the functionality described herein inreconfigurable logic. For example, device 604 may be arranged to performonly options pricing in reconfigurable logic, or some other subset ofthe functions listed in FIG. 6. If a user later wanted to add additionalfunctionality to device 604, it can do so by simply re-configuring thereconfigurable logic of system 200 to add any desired new functionality.Also, the dashed boxes shown in FIG. 6 enclose data processingfunctionality that can be considered to belong to the same category ofdata processing operations. That is, devices 612 and 614 can becategorized as management operations. Device 604 can be categorized asproviding feed handling/processing for data access, value-addedservices, and historic services. Devices 606, 608 and 610 can becategorized as direct market access trading systems. As improvements toreconfigurable logic continues over time such that more resources becomeavailable thereon (e.g., more available memory on FPGAs), the inventorsenvision that further consolidation of financial data processingfunctionality can be achieved by combining data processing operations oflike categories, as indicated by the dashed boxes, thereby furtherreducing the number of appliances 200 needed to implement platform 600.Further still, in the event of such resource improvements over time forFPGAs, it can be foreseen that even further consolidation occur,including consolidation of all functionality shown in FIG. 6 on a singlesystem 200.

While the present invention has been described above in relation to itspreferred embodiments, various modifications may be made thereto thatstill fall within the invention's scope as will be recognizable uponreview of the teachings herein. As such, the full scope of the presentinvention is to be defined solely by the appended claims and their legalequivalents.

1. An apparatus comprising: an order management system (OMS) formanaging a financial instrument order, the OMS comprising areconfigurable logic device having firmware logic deployed thereon thatis configured to monitor the order based on a risk profile to determinewhether the order is appropriate.
 2. The apparatus of claim 1 whereinthe OMS is configured to manage a plurality of streaming buy and sellorders for a plurality of financial instruments, and wherein thefirmware logic is further configured to (1) receive the streamingorders, and (2) compare the steaming orders against a plurality of riskprofiles to determine whether any of the streaming orders areappropriate.
 3. The apparatus of claim 2 wherein the reconfigurablelogic device comprises plurality of firmware application modulesarranged as a pipeline, wherein at least one of the firmware applicationmodules is configured to monitor the order based on a risk profile todetermine whether the order is appropriate.
 4. The apparatus of claim 3further comprising an order router configured to route streaming ordersthat are determined to be appropriate to a trading venue.
 5. Theapparatus of claim 4 further comprising a memory in which a plurality offinancial instrument order books are stored, the order books comprisingsorted lists of pricing information for a plurality of financialinstrument orders, and wherein the firmware logic is further configuredto update the order books in real-time based on streaming financialmarket data.
 6. The apparatus of claim 5 wherein the order router isfurther configured to route the streaming orders that are determined tobe appropriate to a trading venue based on a plurality of criteriaassociated with the streaming orders.
 7. The apparatus of claim 6wherein the order router is further configured to route the streamingorders that are determined to be appropriate to a trading venue based ona plurality of criteria associated with the streaming orders andassociated with at least one user or application that submitted thestreaming orders.
 8. The apparatus of claim 7 further comprising atrading engine configured to subdivide a streaming order determined tobe appropriate into a plurality of smaller orders prior to the smallerorders being routed to a trading venue.
 9. The apparatus of claim 6wherein the order router is implemented in firmware logic deployed onthe reconfigurable logic device.
 10. The apparatus of claim 4 whereinthe firmware logic is further configured to perform the routingoperation.
 11. The apparatus of claim 4 wherein the firmware logic isfurther configured to compare the steaming orders against a plurality ofrisk profiles and a plurality of credit profiles to determine whetherany of the streaming orders are appropriate.
 12. The apparatus of claim11 wherein each streaming order is associated with an account owner, andwherein the firmware logic is further configured to compare the steamingorders against a plurality of risk profiles, a plurality of creditprofiles, and an account status associated with the account owner todetermine whether any of the streaming orders are appropriate.
 13. Theapparatus of claim 12 wherein the OMS further comprises a data store forstoring account information and an archive of previous financialinstrument orders, and wherein the firmware logic is configured toperform the monitoring operation supported by data accessed from thedata store.
 14. An order management method, the method comprising:managing a financial instrument order using an order management system(OMS), the OMS comprising a reconfigurable logic device having firmwarelogic deployed thereon, wherein the managing step comprises the firmwarelogic monitoring the order based on a risk profile to determine whetherthe order is appropriate.
 15. The method of claim 14 wherein themanaging step further comprises the firmware logic receiving a pluralityof streaming buy and sell orders for a plurality of financialinstruments, and wherein the monitoring step comprises the firmwarelogic comparing the steaming orders against a plurality of risk profilesto determine whether any of the streaming orders are appropriate. 16.The method of claim 15 wherein the monitoring step is performed by afirmware application module resident within a pipeline formed from aplurality of firmware application modules that are resident on thereconfigurable logic device.
 17. The method of claim 16 furthercomprising an order router routing streaming orders that are determinedto be appropriate by the monitoring step to a trading venue.
 18. Anapparatus comprising: an order management system (OMS) comprising aprocessor for managing a plurality of streaming buy and sell orders fora plurality of financial instrument orders and an offload engine formonitoring the streaming orders based on a plurality of conditions todetermine whether any of the streaming orders are appropriate.
 19. Theapparatus of claim 18 wherein the conditions comprise a plurality ofrisk profiles.
 20. The apparatus of claim 19 wherein the offload enginecomprises a reconfigurable logic device.
 21. The apparatus of claim 20further comprising an order router configured to route streaming ordersthat are determined to be appropriate to a trading venue.
 22. Theapparatus of claim 21 wherein the processor comprises a general purposeprocessor (GPP).
 23. The apparatus of claim 21 further comprising amemory in which a plurality of financial instrument order books arestored, the order books comprising sorted lists of pricing informationfor a plurality of financial instrument orders, and wherein thereconfigurable logic device is further configured to update the orderbooks in real-time based on streaming financial market data.
 24. Theapparatus of claim 23 wherein the order router is further configured toroute the streaming orders that are determined to be appropriate to atrading venue based on a plurality of criteria associated with thestreaming orders.
 25. The apparatus of claim 21 wherein the order routeris implemented on the reconfigurable logic device.
 26. The apparatus ofclaim 18 wherein the conditions comprise a plurality of credit profiles.27. The apparatus of claim 18 wherein the conditions comprise aplurality of account statuses associated with a plurality of accountowners for the streaming orders.
 28. A method for processing financialmarket data, the method comprising: streaming a financial market datafeed through a reconfigurable logic device, the reconfigurable logicdevice having a resident firmware application module pipeline; andperforming with the firmware application module pipeline a plurality ofdifferent financial data processing operations on the streamingfinancial market data, wherein at least one of the financial dataprocessing operations comprises an order management system operation.29. An apparatus comprising: a reconfigurable logic device havingfirmware logic deployed thereon, the firmware logic configured to (1)process streaming financial market data, the streaming financial marketdata comprising a plurality of messages representative of a plurality ofoffers to buy and sell a plurality of financial instruments, and (2)maintain in real-time a plurality of financial instrument order booksbased on the messages.
 30. The apparatus of claim 29 wherein eachfinancial instrument order book is associated with a financialinstrument and comprises a sorted list of bids and offers associatedwith a plurality of orders for that financial instrument.
 31. Theapparatus of claim 30 wherein each financial instrument order bookcomprises a plurality of subrecords associated with the bids and offers,the subrecords comprising a price field.
 32. The apparatus of claim 31wherein the firmware logic is further configured to maintain a sortorder of the sorted lists for the financial instrument order books inreal-time.
 33. The apparatus of claim 31 wherein the firmware logic isfurther configured to generate a top slice view of a financialinstrument order book.
 34. The apparatus of claim 33 wherein the topslice view of the financial instrument order book comprises the ordersfor the financial instrument associated with that financial instrumentorder book that are within a specified number of price points of a bestprice in that financial instrument order book.
 35. The apparatus ofclaim 31 wherein the firmware logic is further configured to generate aprice aggregate view of a financial instrument order book.
 36. Theapparatus of claim 35 wherein the price aggregate view of the financialinstrument order book comprises a plurality of entries that areindicative of a total number of orders for that financial instrument ateach of a plurality of price points.
 37. The apparatus of claim 31wherein the firmware logic is further configured to generate a view of afinancial instrument order book such that orders for the financialinstrument associated with that financial instrument order book from atleast one specified trading venue are excluded from the view.
 38. Theapparatus of claim 31 wherein the firmware logic is further configuredto generate a composite view of a financial instrument order book. 39.The apparatus of claim 38 wherein the composite view of the financialinstrument order book comprises the orders across a plurality ofexchanges for the financial instrument associated with that financialinstrument order book.
 40. The apparatus of claim 31 further comprisinga memory in which a plurality of data structures representative of thefinancial instrument order books are stored.
 41. The apparatus of claim40 wherein the memory is resident on the reconfigurable logic device.42. The apparatus of claim 40 wherein the memory comprises a memorydevice accessible by the reconfigurable logic device.
 43. The apparatusof claim 40 wherein the memory comprises a cache memory.
 44. Theapparatus of claim 40 wherein the firmware logic is further configured(1) extract order information from the streaming financial market data,and (2) create, update, and remove subrecords for the data structures inreal-time based on the extracted information.
 45. The apparatus of claim44 further comprising a programmable data dictionary for defining howthe reconfigurable logic device is to update at least a portion of thesubrecords for the data structures.
 46. The apparatus of claim 40wherein the streaming financial market data comprises a messagepertaining to a financial instrument, the message comprising a datafield, and wherein the firmware logic is further configured to update asubrecord of a financial instrument order book data structure associatedwith that financial instrument in real-time by storing data from thedata field within a field of that subrecord.
 47. The apparatus of claim40 wherein the streaming financial market data comprises a plurality ofmessages pertaining to a financial instrument, and wherein the firmwarelogic is further configured to (1) accumulate data based on a series ofthe messages within a time-bound window, and (2) update a subrecord of afinancial instrument order book data structure associated with thatfinancial instrument by storing the accumulated data from the data fieldwithin a field of that subrecord.
 48. The apparatus of claim 40 whereinthe streaming financial market data comprises a message pertaining to afinancial instrument, the message comprising a data field, and whereinthe firmware logic is further configured to (1) determine whether acondition is true based on a programmable rule, and (2) in response to adetermination that the condition is true, update a subrecord of afinancial instrument order book data structure associated with thatfinancial instrument in real-time by storing data from the data fieldwithin a field of that subrecord.
 49. The apparatus of claim 40 whereinthe streaming financial market data comprises a message pertaining to afinancial instrument, the message comprising a data field, and whereinthe firmware logic is further configured to (1) compute a new valuebased at least in part on the message, and (2) update a subrecord of afinancial instrument order book data structure associated with thatfinancial instrument in real-time by storing the computed new valuewithin a field of that subrecord.
 50. The apparatus of claim 31 whereinthe firmware logic is further configured to synthesize a financialinstrument quote stream based on the streaming financial market data andthe financial instrument order books.
 51. The apparatus of claim 50wherein the firmware logic is further configured to synthesize thefinancial instrument quote stream by (1) detecting when a message for afinancial instrument causes a best bid or offer entry in a financialinstrument order book to change, and (2) in response to detecting thatthe best bid or offer entry has changed, generating a quote for thatfinancial instrument corresponding to changed best bid or offer.
 52. Theapparatus of claim 51 further comprising an application for execution bythe apparatus, the application configured to receive and operate on thegenerated financial instrument quote.
 53. The apparatus of claim 29further comprising a ticker plant within which the reconfigurable logicdevice is resident.
 54. The apparatus of claim 53 wherein the tickerplant further comprises a processor for receiving streaming financialmarket data and managing a flow of at least a portion of the streamingfinancial market data to the reconfigurable logic device.
 55. Theapparatus of claim 54 wherein the processor comprises a general purposeprocessor (GPP).
 56. A method comprising: a reconfigurable logic device(1) processing streaming financial market data, the streaming financialmarket data comprising a plurality of messages representative of aplurality of offers to buy and sell a plurality of financialinstruments, and (2) maintaining in real-time a plurality of financialinstrument order books based on the messages.
 57. The method of claim 56wherein each financial instrument order book is associated with afinancial instrument and comprises a sorted list of bids and offersassociated with a plurality of orders for that financial instrument. 58.The method of claim 57 wherein each financial instrument order bookcomprises a plurality of subrecords associated with the bids and offers,the subrecords comprising a price field.
 59. The method of claim 58further comprising the reconfigurable logic device maintaining a sortorder of the sorted lists for the financial instrument order books inreal-time.
 60. An apparatus comprising: an order book server formaintaining a plurality of financial instrument order books, the orderbook server comprising an offload engine for (1) processing streamingfinancial market data, the streaming financial market data comprising aplurality of messages representative of a plurality of offers to buy andsell a plurality of financial instruments, and (2) updating in real-timethe financial instrument order books based on the messages.
 61. Theapparatus of claim 60 wherein the offload engine comprises areconfigurable logic device.
 62. A method comprising: maintaining a datastructure representative of a plurality of order books for a pluralityof financial instruments; and a reconfigurable logic device processing aplurality of financial market data messages to update the order bookswithin the data structure.
 63. An apparatus comprising: a memory forstoring a data structure representative of a plurality of order booksfor a plurality of financial instruments; and a reconfigurable logicdevice configured to process a plurality of financial market depth datamessages to update the order books within the data structure.
 64. Amethod comprising: Synthesizing, by firmware logic resident on areconfigurable logic device, quote events associated with a plurality offinancial instruments from a financial market data feed, wherein thereconfigurable logic device is resident within a ticker plant.
 65. Anapparatus comprising: a ticker plant, the ticker plant having areconfigurable logic device, the reconfigurable logic device havingfirmware logic resident thereon that is configured to synthesize quoteevents associated with a plurality of financial instruments from afinancial market data feed.
 66. A method for processing financial marketdata, the method comprising: streaming a financial market data feedthrough a reconfigurable logic device, the reconfigurable logic devicehaving a resident firmware application module pipeline; and performingwith the firmware application module pipeline a plurality of differentfinancial data processing operations on the streaming financial marketdata, wherein at least one of the financial data processing operationscomprises an order book server operation.